As a general rule, if you change graphics files, there is no need for your opponant to use them. All of that info is stored on your computer. For that matter, if you wanted to have a file where French soldiers looked like flying monkeys, that would be your right, and wouldn't effect the other player at all.
Maybe the best rule of thumb is that these are the files you do not mess with (unless by arrangement with your enemy)
.pdt (this is the main file that gives gun, movement, weather data and the like)
.oob (The order of Battle file)
.scn (the scenario file)
.org (only used in campaign games)
The others, are, to my knowledge, not a problem (though of course, some will just flat out break your game)